Fixed Income Winter School - Paris - Financial - CapitalMoney Markets

Dates	Location	Price	Add dates to my diary	Brochure	Register
6-10 Dec 2010	Paris, France	£4,195.00	Add dates	Download	Register now

A 5-day intermediate training programme on fixed income securities, fixed income derivatives and fixed income structured products.

Featuring:

Review of modern bond, money and repo markets
Bond analytics: pricing and risk management
Fixed income derivatives: bond futures pricing and applications
Fixed income structured products:
Capital & income protected notes
Reverse/inverse floating rate notes
Callable & puttable bonds
Range notes & range accrual notes

COURSE BACKGROUND

In recent years, the fixed income markets have witnessed significant change and innovation, resulting from factors such as the rapidly maturing swaps market and demand for structured products. The increasing commoditisation of the swaps market, along with recent innovations in the credit derivatives market, has led to fundamental shifts in core relationships. The course is directed at those who require up-to-date market knowledge on how such changes will impact their professional lives. The programme is intensive, requiring a high level of commitment from the delegates. The course will be taught using a combination of lectures, case studies, practical workshops and pc-based exercises.

WHO SHOULD ATTEND

The course will be of value to professionals in the following areas :

Corporate Finance/Corporate Treasury
Capital Markets
Audit/Product Control/Risk Management/ALM
Research & Analysis
Sales & Trading
Investment Management
Origination
Securitisation/Syndication
Structured Finance
Money Markets/Repo
Systems Programming
Funding
Government/Agency Funding & Investment
Regulation/Compliance/Documentation

COURSE LEVEL

Delegates should be familiar with the basics of bond mathematics, measures of return, characteristics of bonds and bond market conventions. Whilst a review of the basics will take place on Day One, the course will move to an intermediate level thereafter. Delegates are likely to have some previous practical experience of fixed income trading, risk management, operations, structuring/origination or investment/analysis.

COURSE INFORMATION

Delegates are requested to bring their own laptops loaded with Excel and CD rom capabilities for use during the course. If you are unable to bring a laptop, please inform the course manager prior to the course, and a PC will be arranged.

To find out more about your accommodation possibilities and places of interest in Paris visit: http://en.parisinfo.com/

DAY 1: Fixed Income Summer School

THE SECURITIES MARKETPLACE

What is investment banking?
Investment v commercial banking
Financial markets and their products
Risk versus return

HOW THE BOND MARKETS WORK

What is a Bond?
Who issues and invests
Bond characteristics
Coupon: fixed, floating, zero
Price/yield relationship
Inflation-linked securities
Credit Rating Agencies

FIXED INCOME VALUATION

Calculating a bond’s price on a coupon date
Clean (quoted) v dirty price
Common accrual conventions
Calculating a bond’s price on a non-coupon date

DAY 2: Fixed Income Summer School

BOND ANALYTICS: PRICING & RISK ANALYSIS

YIELD CURVES

Interpreting the price: defining yield measures
Yield to maturity as an internal rate of return (IRR)
Yield to call
Running yield & The yield curve and yield curve theories
Econometric forecasting of the yield curve
What is the “benchmark curve”?
What drives credit spreads?

THE ROLE OF THE ZERO COUPON CURVE

The problem with YTMs:
Re-investment risk
Understanding the zero-coupon bond pricing concept and its importance in the marking-to-market process
Constructing the zero-coupon equivalent yield curve
Bond stripping
Using zero-coupon discount factors to mark-to-market positions
Using the zero curve:
Identifying miss-priced bonds
Horizon yield analysis

INTRODUCTION TO BOND RISK MANAGEMENT

Why measure interest rate exposure?
What influences a bond’s price
Macaulay duration
The convexity adjustment
Present value of a basis point
Calculating the hedge ratio

DAY 3: Fixed Income Summer School

FIXED INCOME DERIVATIVES

THE SWAPS MARKET

Swap types: interest, currency and basis swaps
Market structure
Market quotation conventions
Accrual conventions
Rationale for the swap market
Using swaps to aid asset/liability management
Swaps and the primary (new issue) debt market
New issue arbitrage using currency swaps
Creating synthetic FRNs: the asset swap
Understanding the credit bond/swap relationship
Using swaps as interest rate risk management tools
Rationale for use

THE BOND FUTURES CONTRACT

The principal contracts and where they trade
The role of Exchanges and the Clearing House
Understanding the margin payments
Introducing the contract spec
The deliverable basket concept
The price/conversion factor
Government bond futures: contract limitations
Alternative derivative instruments
Futures referenced off the swaps curve
Bond Index products

APPLICATIONS OF BOND FUTURES

Trading and risk management applications
Creating synthetic investments with bond futures contracts
Alternative instruments: Swapnote® futures contracts

DAY 4: Fixed Income Summer School

FIXED INCOME STRUCTURED PRODUCTS (1)

THE BUILDING BLOCKS

Rationale and concept of structured notes
Market participants: Who issues and invests
Structure and design
Collateralised asset swap: example
Collared FRN: example

UNRAVELLING A STRUCTURED NOTE:

REVERSE/INVERSE FLOATING RATE NOTES

When to issue
Defining the Issuer hedge
Pricing and valuation
Variations
Deferred inverse floater
Step-up inverse floater
Superfloater FRN
Next generation products

CALLABLE & PUTTABLE BONDS

Bond securities with embedded options: callable; puttable; convertible; and exchangeable bonds
Rationale for issuance
Attractions to investors
Using swaptions to monetise options embedded in callable and puttable bonds
Introduction to swaptions
Using swaptions to create synthetic callable/puttable bonds
Step-up and multi-step callable bonds
Concept
Investor motivation

DAY 5: Fixed Income Summer School

FIXED INCOME STRUCTURED PRODUCTS (2)

SYNTHETIC BONDS (1): CAPITAL & INCOME PROTECTED NOTES

Constructing capital protected notes
Typical structures:
Currency linked notes
Equity linked notes
Variations:
Introducing a cap
Basket structures
Ladders
High income bonds: income protected notes
Putting together a reverse convertible
Understanding the risks for the investor

RANGE NOTES & RANGE ACCRUAL NOTES

Rational
Construction
Prima on digital options
Pricing digital options
Building a range note
Building a range accrual note
Understanding the market conditions conducive to issuance

Paris Hotel, Paris, France

This programme takes place on a non-residential basis at a hotel in central Paris. Non-residential course fees include training facilities, documentation, lunches and refreshements for the duration of the programme. Delegates are responsible for arranging their own accomodation, however, a list of convenient hotels (many at specially negotiated rates) is available upon registration.

Paul Kitching
Before becoming a freelance training consultant, Paul Kitching was the Strategic Development Manager at the London International Financial Futures Exchange (LIFFE), where he was responsible for the research and definition of new specialist swap and risk transfer contracts. Prior to this, he was Head of Interest Rate Product Development with responsibility for the maintenance of the existing product range and the development of new products.

Paul began his career with Ernst & Young and Grant Thornton as a tax specialist, before moving into corporate treasury management at Consignia where he was project leader for a treasury and risk management group. In this role he developed risk management protocols and procedures for the use of derivative products. He was responsible for recommending the optimal combination of product types and features for a wide range of situations.

Following the completion of a quantitative finance masters degree, Paul became senior lecturer in Corporate Finance and Taxation at the University of Greenwich. He is a visiting lecturer to Cass Business School, lecturing on their Executive MBA programme. He is a panel member for the Securities Institute, and is a Member of the Association of Corporate Treasurers and associate of the Institute of Taxation.

Interested in holding this course in-house? Please fill out your details and a member of our team will be in touch with more information.

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